refVARMA function

Refining VARMA Estimation

Refines a fitted VARMA model by setting insignificant estimates to zero

refVARMA(model, thres = 1.5)

Arguments

• model: An output object from the command VARMA or the command refVARMA
• thres: A threshold value for individual t-ratio of the estimates.

Details

The program simultaneously sets estimates with t-ratios less than the threshold (in modulus) to zero.

Returns

The same as those of the command VARMA.

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

See Also

VARMA